How about whom do I tell? Do I tell the Managing Director (i.e. very senior position) with whom I work the closest, or the head of the group, who is technically my boss but much less involved in my day-to-day work (though he's still only ~20 feet away)?
Here's how I've handled a similar situation.

1. Draft up a letter, addressed to the group head, thanking him and the company for the opportunities you've had during your time there.
2. Look for an opportunity to catch your MD off the floor (at the coffee shop would be a prime location).
3. Mention that you've wanted to speak with him about something - say that although you are probably breaking protocol by talking to the MD before your direct supervisor, you value the relationship and wanted to let him know first. Explain that for reasons entirely unrelated to your work, you've decided that living in [town] isn't right for you, and you've accepted a position elsewhere which fits your living arrangements.
4. Before the rumour mill has a chance to start turning, front up to the group head and pull him aside. Repeat step 3. Hand him the letter at the end of the conversation, just saying that you put it in a letter to make things official.

Again, if you're front office, or working on anything that involves much IP, they'll likely march you straight away. Discreetly pack some things beforehand, and don't let the door hit you in the ass on the way out.

Glad you took the gig. Schedule a meeting with your boss. Sit down with him and tell him you are resigning. Articulate what you've learned from the gig, the good things and that your appreciate the opportunity he provided you. Ask if you could use him as a reference.

* He will tell you he is dissapointed with your decision (as you should want to hear), but will obviously accept it. He may ask what exactly drove you to it - be frank (minus mentioning his halitosis). If you're lucky he may try to find a way to sweeten your stay - if he does and you don't want it, don't be afraid to reject it then or take a "day or two" to think it through and reject it anyway.

Once you've shaken hands with your boss about this. You can then join your office friends for drinks or lunch and break the news. Before rumours spread (but after you've told people you're close to) send out an office-wide email about your pursuing a new opporunity and how wonderful your experience there has been.

*They'll be dissapointed but excited to learn about your opportunity (as you would hope to hear).

1. Draft up a letter, addressed to the group head, thanking him and the company for the opportunities you've had during your time there.
2. Look for an opportunity to catch your MD off the floor (at the coffee shop would be a prime location).
3. Mention that you've wanted to speak with him about something - say that although you are probably breaking protocol by talking to the MD before your direct supervisor, you value the relationship and wanted to let him know first. Explain that for reasons entirely unrelated to your work, you've decided that living in [town] isn't right for you, and you've accepted a position elsewhere which fits your living arrangements.
4. Before the rumour mill has a chance to start turning, front up to the group head and pull him aside. Repeat step 3. Hand him the letter at the end of the conversation, just saying that you put it in a letter to make things official.

Again, if you're front office, or working on anything that involves much IP, they'll likely march you straight away. Discreetly pack some things beforehand, and don't let the door hit you in the ass on the way out.

I've had one job in my 11 year career, and I just quit that job on Monday. The bottom line is that it's really awkward, but you have to man up and do it the right way because someone very well might be calling these people one day checking your reference and you want the ending impression to be a good one.

And as others have said, they'll likely walk you out if you're on the floor anyway, but if you have to do the two weeks, you'll have plenty of time to surf the web. Hmm, maybe that explains my recent hanging out on this site...

Just grab a room with the manager you directly report to and tell him/her you were offered and accepted another opportunity. The manner in which it's going to be received is out of your control. Come on brotha! You're in trading! Congratulations.

So I ended up telling my MD (a 35-year old guy I sit within arms reach of and spend half the day joking with and the other half working for). I pretty much struck him speechless and we then had an open conversation for an hour and a half in which he repeatedly told me that it wasn't too late to not quit and that I could stay if I wanted, and asked what it would take to keep me here. I'm supposed to talk to the group head tomorrow (he left while I was talking to the MD) but I'm betting that conversation will be a lot shorter and less amicable. In any case, I'm glad it went so well.

I will say that it was the hardest conversation I've ever had. As I was talking to him, it struck me that I was losing a few genuine friends and I am quite sad about that.

It's a small world dude. As long as you didn't t burn your bridges (which sounds like the case) and you'll likely cross paths again. Take it as a positive that they actually wanted to go to lengths to keep you.

Out of school (last year) I had a pretty intense convo with my finance manager that I wasn't doing my job well. It was hard to swallow, but was pretty much the truth because I hated my work and had no desire to be there. The next day I gave her my letter of resignation, effectively immediately. That was the end of it and I've been happier since. Best of luck.

Tell them that you recieved an offer that you couldn't refuse in New York, and while you like working there it's just the best choice for your future. They'll understand, and if they don't, then fuck them anyway.

Nice post. I got so used to brainlessly procrastinating that it left me with no sense of self. confusion and feeling really fake and worthless. So basically its a better idea in the long run to start using your time better.